library(plm)
## Loading required package: Formula
library(lmtest)
## Loading required package: zoo
##
## Attaching package: 'zoo'
##
## The following objects are masked from 'package:base':
##
## as.Date, as.Date.numeric
data<-plm.data(data)
summary(data)
## 公司 individual year Q
## *ST二重 : 9 777 : 9 Min. :2005 Min. :0.5533
## 丹甫股份: 9 922 : 9 1st Qu.:2007 1st Qu.:1.1765
## 东方电气: 9 967 : 9 Median :2009 Median :1.5447
## 东方锆业: 9 2130 : 9 Mean :2009 Mean :1.8858
## 哈空调 : 9 2167 : 9 3rd Qu.:2011 3rd Qu.:2.1786
## 海陆重工: 9 2255 : 9 Max. :2013 Max. :6.5207
## (Other) :126 (Other):126 NA's :69
## roe roa 存货周转率 总资产周转率
## Min. :-1.76565 Min. :-0.14813 Min. : 0.4627 Min. :0.1140
## 1st Qu.: 0.04355 1st Qu.: 0.03151 1st Qu.: 1.4496 1st Qu.:0.3357
## Median : 0.07607 Median : 0.05106 Median : 2.3721 Median :0.4879
## Mean : 0.04032 Mean : 0.04676 Mean : 8.2026 Mean :0.5388
## 3rd Qu.: 0.12360 3rd Qu.: 0.07572 3rd Qu.: 3.6278 3rd Qu.:0.6724
## Max. : 0.66163 Max. : 0.35168 Max. :328.7956 Max. :1.4773
## NA's :69 NA's :69 NA's :68 NA's :69
## 资产负债率 营业收入增长率 流动资产周转率 营业收入增长率.1
## Min. :0.1457 Min. :-0.56564 Min. :0.1731 Min. :-0.56564
## 1st Qu.:0.3371 1st Qu.: 0.00604 1st Qu.:0.5127 1st Qu.: 0.00604
## Median :0.4713 Median : 0.11323 Median :0.6986 Median : 0.11323
## Mean :0.4995 Mean : 0.45272 Mean :0.8044 Mean : 0.45272
## 3rd Qu.:0.6560 3rd Qu.: 0.24394 3rd Qu.:0.9323 3rd Qu.: 0.24394
## Max. :0.9569 Max. :23.31517 Max. :2.1825 Max. :23.31517
## NA's :69 NA's :83 NA's :68 NA's :83
## 应收账款周转率
## Min. : 0.3386
## 1st Qu.: 1.5867
## Median : 2.7812
## Mean : 3.7116
## 3rd Qu.: 3.8664
## Max. :32.4027
## NA's :68
pdim(data,index = c("individual","year"))
## Balanced Panel: n=20, T=9, N=180
pooling<-plm(roe~存货周转率+总资产周转率+资产负债率+营业收入增长率+流动资产周转率+应收账款周转率,data = data,model = "pooling",index = c("individual","year"))
summary(pooling)
## Oneway (individual) effect Pooling Model
##
## Call:
## plm(formula = roe ~ 存货周转率 + 总资产周转率 + 资产负债率 +
## 营业收入增长率 + 流动资产周转率 + 应收账款周转率,
## data = data, model = "pooling", index = c("individual", "year"))
##
## Unbalanced Panel: n=17, T=3-9, N=97
##
## Residuals :
## Min. 1st Qu. Median 3rd Qu. Max.
## -1.4700 -0.0568 0.0241 0.1160 0.7310
##
## Coefficients :
## Estimate Std. Error t-value Pr(>|t|)
## (Intercept) 0.16679289 0.10847635 1.5376 0.127656
## 存货周转率 0.00046706 0.00084216 0.5546 0.580540
## 总资产周转率 0.53024320 0.20017339 2.6489 0.009537 **
## 资产负债率 -0.52927806 0.15563273 -3.4008 0.001004 **
## 营业收入增长率 0.00740193 0.01228822 0.6024 0.548449
## 流动资产周转率 -0.25908673 0.12798798 -2.0243 0.045903 *
## 应收账款周转率 0.01245290 0.00720790 1.7277 0.087477 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Total Sum of Squares: 8.8951
## Residual Sum of Squares: 7.1179
## R-Squared : 0.1998
## Adj. R-Squared : 0.18538
## F-statistic: 3.74538 on 6 and 90 DF, p-value: 0.0022598
timemodel<-plm(roe~存货周转率+总资产周转率+资产负债率+营业收入增长率+流动资产周转率+应收账款周转率,data = data,model = "within",effect="time",index = c("individual","year"))
summary(timemodel)
## Oneway (time) effect Within Model
##
## Call:
## plm(formula = roe ~ 存货周转率 + 总资产周转率 + 资产负债率 +
## 营业收入增长率 + 流动资产周转率 + 应收账款周转率,
## data = data, effect = "time", model = "within", index = c("individual",
## "year"))
##
## Unbalanced Panel: n=17, T=3-9, N=97
##
## Residuals :
## Min. 1st Qu. Median 3rd Qu. Max.
## -1.3900 -0.0837 0.0436 0.1230 0.4580
##
## Coefficients :
## Estimate Std. Error t-value Pr(>|t|)
## 存货周转率 0.00097431 0.00087342 1.1155 0.2678850
## 总资产周转率 0.46217965 0.20493153 2.2553 0.0267796 *
## 资产负债率 -0.62122139 0.15794875 -3.9331 0.0001746 ***
## 营业收入增长率 0.00609054 0.01239691 0.4913 0.6245304
## 流动资产周转率 -0.26240580 0.12888607 -2.0360 0.0449836 *
## 应收账款周转率 0.01418470 0.00743438 1.9080 0.0598929 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Total Sum of Squares: 8.2077
## Residual Sum of Squares: 6.3181
## R-Squared : 0.23023
## Adj. R-Squared : 0.19463
## F-statistic: 4.08753 on 6 and 82 DF, p-value: 0.0012292
fixef(timemodel)
## 2005 2006 2007 2008 2009 2010 2011
## 0.2744246 0.3366164 0.5703209 0.2176621 0.2033117 0.3111619 0.1522088
## 2012 2013
## 0.2388265 0.1816575
timecoef<-fixef(timemodel)
timecoef<-as.numeric(timecoef)
